Lifting Lévy processes to hyperfinite random walks

DOI10.1016/j.bulsci.2006.02.001zbMath1125.28016OpenAlexW2054637437WikidataQ57543020 ScholiaQ57543020MaRDI QIDQ2370809

Frederik S. Herzberg, Sergio A. Albeverio

Publication date: 29 June 2007

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.bulsci.2006.02.001

zbMATH Keywords

Lévy processesLiftingNonstandard analysisHyperfinite random walksLévy -Khinchin formulas

Mathematics Subject Classification ID

Stochastic integrals (60H05) Nonstandard models in mathematics (03H05) Nonstandard measure theory (28E05)

Related Items

The allure of infinitesimals: Sergio Albeverio and nonstandard analysis ⋮ First steps towards an equilibrium theory for Lévy financial markets ⋮ Hyperfinite stochastic integration for Lévy processes with finite-variation jump part ⋮ Nonlinear stochastic integrals for hyperfinite Lévy processes ⋮ A combinatorial infinitesimal representation of Lévy processes and an application to incomplete markets

Cites Work

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• Nonstandard Construction of the Stochastic Integral and Applications to Stochastic Differential Equations.I
• Adapted Probability Distributions
• Conversion from Nonstandard to Standard Measure Spaces and Applications in Probability Theory
• Hyperfinite Lévy Processes

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